The impact of COVID-19 on gold seasonality
Sónia R. Bentes,
Mariya Gubareva and
Tamara Teplova
Applied Economics, 2022, vol. 54, issue 40, 4700-4710
Abstract:
This study investigates the impact of COVID-19 on the seasonality of gold returns by means of an asymmetric EGARCH model (Exponential GARCH). We find that the so-called ‘autumn effect’, or the traditional seasonal increase in gold returns in fall, vanishes and even shows a reverse pattern during the COVID-19 pandemic. We ascribe this phenomenon to the decaying demand for gold, which substantially decreased in the third quarter of 2020. In contrast, we find no evidence of seasonal effects in gold volatility, which is in line with earlier researches on this topic. Our results also confirm the positive asymmetric effect of gold volatility.
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:54:y:2022:i:40:p:4700-4710
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DOI: 10.1080/00036846.2022.2033681
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